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標題: | 金融危機之國際投資銀行市場效率性 International Investment Bank Market Efficiency in Financial Crisis |
作者: | Fan-Wei Yeh 葉凡維 |
指導教授: | 蘇永成 |
關鍵字: | 買賣單不均衡,金融危機,市場效率,投資銀行, order imbalance,financial crisis,market efficiency,investment bank, |
出版年 : | 2010 |
學位: | 碩士 |
摘要: | Market efficiency has attracted much interest for years, and with a view toward better understanding of how stock prices move and the process of market efficiency, previous literatures have documented extensively the relation between trading activities and stock returns. In this paper, we use order imbalances as the proxy for trading activities. The main purpose of this study is to investigate the convergence process toward efficiency of international investment banks across the stock market, particularly during the financial crisis in September 2008.
First, we perform two multi-regression models in order to examine the relation between stock returns and imbalances. One model, which uses only lagged order imbalances as the explanatory variables, shows that the impacts of lagged imbalances are positive across different stocks. The other model, which includes one contemporaneous order imbalances in addition to four lagged imbalances, shows that no reversal of lagged imbalance coefficients are present in our empirical results. The results are inconsistent with prior literatures, which may indicate rather different behavior of investors during the crisis. We also perform a GARCH(1,1) model in consideration of the potential weakness of OLS multi-regression model, and find that the positive relation between returns and imbalances still exists but is significantly smaller. The convergence process toward efficiency is observable in both OLS regression and GARCH(1,1) model, and the apparent discrepancy in percentage of positive coefficients implies a large part of the explaining power in OLS regression is from volatility during financial crisis. Then, we apply the GARCH(1,1) model to examine the relation between volatility and order imbalances. Small but negative relation between imbalances and volatility is found, and may be attributed to the declining market. We also find the impact of imbalances on volatility almost fades away within 15 minutes, which suggests that market makers have good ability to control inventory across stocks. Finally, we try to construct a trading strategy based on imbalances. Unfortunately, the returns are generally small and cannot beat the market during the crisis. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/44679 |
全文授權: | 有償授權 |
顯示於系所單位: | 財務金融學系 |
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